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The following info is from an authoritative source at the CME:
(1) Except for "insert" and "correction" entries, the time-&-sales file
("T&S") exactly reflects what is sent to data vendors AND the time each
entry is sent. The time source is a standard time-server; times are
accurate to less than a second. In entries coded "correction", only the
price has been modified - a change to the recorded time would be
reflected by a cancel-insert pair.
(2) Time stamps are included with each data transmission to data
vendors.
(3) Consecutive trades at the same price are NOT entered into the
system or sent to vendors, only price changes.
(4) The volume-by-tick file ("VbT") contains a "reconstructed" list of
individual trades, rather than just price changes, but it does not
include trades which failed to clear on the same date.
(5) Entries coded "6" in the VbT file ("spread") do, in fact, represent
trades of the front contract occurring at the time and price indicated
in that file even though the price may, at times, differ radically from
that shown for adjacent trades. They are, however, not considered to
"make the market" and are not reported in real time; that is, they are
never broadcast on the real-time feed sent to data vendors.
(6) A local, when trading for his own account, may get charged a
reduced fee by his clearing house for multiple contracts traded at the
same price, even though those same-price trades occurred in different
transactions and at widely separated times during the day.
(7) Although not required to do so, a local may elect to execute at the
same price all spreads in which he takes one side, regardless of whether
it is an opening or closing transaction, regardless of when during the
day it occurs, and regardless of the current "outright" market price.
This is to take advantage of the above reduced clearing fee and is the
reason for the VbT items coded "6".
Each local makes his own independent election and determination of this
price.
(8) I have no answer yet as to why the VbT file contains a few normal
(non-spread) price entries which do NOT appear in the T&S file.
Now, with respect to the data as sent to us by Data Broadcasting (at
least for Signal - this may or may not be true for BMI), it appears that
time stamps do not accompany each individual price transmission.
Instead, approximately once a minute a time transmission is sent and it
is receipt of this special transmission which causes TradeStation's
clock to update. HOWEVER, contrary to what I used to believe, this
transmission generally does NOT occur at the zero-second mark. The raw
transmission from DBC, as seen in the Server's "Datafeed Output" window,
ususlly shows a time 6 to 10 seconds or so into the minute (for example,
"32,06" for xx:32:06).
Carroll Slemaker
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